Carathéodory approximate solutions for a class of perturbed stochastic differential equations with reflecting boundary
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Publication:5240642
Rate of convergence, degree of approximation (41A25) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Local time and additive functionals (60J55) Numerical solutions to stochastic differential and integral equations (65C30) Stability and convergence of numerical methods for ordinary differential equations (65L20)
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Cites work
- A generalization of a lemma of bellman and its application to uniqueness problems of differential equations
- Approximate solutions for a class of doubly perturbed stochastic differential equations
- Approximate solutions for a class of stochastic evolution equations with variable delays
- Approximate solutions for a class of stochastic evolution equations with variable delays. II
- Carathéodory approximate solutions for a class of semilinear stochastic evolution equations with time delays
- Carathéodory approximation solutions to a class of stochastic functional differential equations
- Euler's Approximations of Weak Solutions of Reflecting SDEs with Discontinuous Coefficients
- scientific article; zbMATH DE number 3878098 (Why is no real title available?)
- scientific article; zbMATH DE number 2150787 (Why is no real title available?)
- scientific article; zbMATH DE number 3109695 (Why is no real title available?)
- ON ONE-DIMENSIONAL STOCHASTIC DIFFERENTIAL EQUATIONS INVOLVING THE MAXIMUM PROCESS
- On the existence of a time inhomogeneous skew Brownian motion and some related laws
- On the solution of stochastic ordinary differential equations via small delays
- On the time inhomogeneous skew Brownian motion
- Pathwise uniqueness for perturbed versions of Brownian motion and reflected Brownian motion
- Perturbed Skorohod equations and perturbed reflected diffusion processes
- Some identities on local times and uniqueness of solutions of stochastic differential equations with reflection
- Time inhomogeneous stochastic differential equations involving the local time of the unknown process, and associated parabolic operators
Cited in
(7)- Carathéodory approximate solutions for a class of semilinear stochastic evolution equations with time delays
- Weak convergence of delay SDEs with applications to Carathéodory approximation
- Carathéodory approximate solutions for a class of stochastic differential equations involving the local time at point zero with one-sided Lipschitz continuous drift coefficients
- On the convergence of Carathéodory numerical scheme for Mckean-Vlasov equations
- Carathéodory approximate solutions for a class of perturbed reflected stochastic differential equations with irregular coefficients
- The Carathéodory approximation scheme for stochastic differential equations with G‐Lévy process
- Some types of Carathéodory scheme for Caputo stochastic fractional differential equations in \(L^p\) spaces
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